mathlib3 documentation

probability.martingale.basic

Martingales #

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A family of functions f : ι → Ω → E is a martingale with respect to a filtration ℱ if every f i is integrable, f is adapted with respect to ℱ and for all i ≤ j, μ[f j | ℱ i] =ᵐ[μ] f i. On the other hand, f : ι → Ω → E is said to be a supermartingale with respect to the filtration ℱ if f i is integrable, f is adapted with resepct to ℱ and for all i ≤ j, μ[f j | ℱ i] ≤ᵐ[μ] f i. Finally, f : ι → Ω → E is said to be a submartingale with respect to the filtration ℱ if f i is integrable, f is adapted with resepct to ℱ and for all i ≤ j, f i ≤ᵐ[μ] μ[f j | ℱ i].

The definitions of filtration and adapted can be found in probability.stopping.

Definitions #

Results #

def measure_theory.martingale {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] (f : ι → Ω → E) (ℱ : measure_theory.filtration ι m0) (μ : measure_theory.measure Ω . "volume_tac") :
Prop

A family of functions f : ι → Ω → E is a martingale with respect to a filtration ℱ if f is adapted with respect to ℱ and for all i ≤ j, μ[f j | ℱ i] =ᵐ[μ] f i.

Equations
def measure_theory.supermartingale {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] [has_le E] (f : ι → Ω → E) (ℱ : measure_theory.filtration ι m0) (μ : measure_theory.measure Ω . "volume_tac") :
Prop

A family of integrable functions f : ι → Ω → E is a supermartingale with respect to a filtration ℱ if f is adapted with respect to ℱ and for all i ≤ j, μ[f j | ℱ.le i] ≤ᵐ[μ] f i.

Equations
def measure_theory.submartingale {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] [has_le E] (f : ι → Ω → E) (ℱ : measure_theory.filtration ι m0) (μ : measure_theory.measure Ω . "volume_tac") :
Prop

A family of integrable functions f : ι → Ω → E is a submartingale with respect to a filtration ℱ if f is adapted with respect to ℱ and for all i ≤ j, f i ≤ᵐ[μ] μ[f j | ℱ.le i].

Equations
theorem measure_theory.martingale_const {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] (ℱ : measure_theory.filtration ι m0) (μ : measure_theory.measure Ω) [measure_theory.is_finite_measure μ] (x : E) :
measure_theory.martingale (λ (_x : ι) (_x : Ω), x) ℱ μ
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theorem measure_theory.martingale.adapted {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) :
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theorem measure_theory.martingale.condexp_ae_eq {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) {i j : ι} (hij : i ≤ j) :
measure_theory.condexp (⇑ℱ i) μ (f j) =ᵐ[μ] f i
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theorem measure_theory.martingale.integrable {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) (i : ι) :
theorem measure_theory.martingale.set_integral_eq {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} [measure_theory.sigma_finite_filtration μ ℱ] (hf : measure_theory.martingale f ℱ μ) {i j : ι} (hij : i ≤ j) {s : set Ω} (hs : measurable_set s) :
∫ (ω : Ω) in s, f i ω ∂μ = ∫ (ω : Ω) in s, f j ω ∂μ
theorem measure_theory.martingale.add {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f g : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) (hg : measure_theory.martingale g ℱ μ) :
theorem measure_theory.martingale.neg {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) :
theorem measure_theory.martingale.sub {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f g : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (hf : measure_theory.martingale f ℱ μ) (hg : measure_theory.martingale g ℱ μ) :
theorem measure_theory.martingale.smul {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} (c : ℝ) (hf : measure_theory.martingale f ℱ μ) :
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theorem measure_theory.supermartingale.integrable {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} [has_le E] (hf : measure_theory.supermartingale f ℱ μ) (i : ι) :
theorem measure_theory.supermartingale.condexp_ae_le {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} [has_le E] (hf : measure_theory.supermartingale f ℱ μ) {i j : ι} (hij : i ≤ j) :
measure_theory.condexp (⇑ℱ i) μ (f j) ≤ᵐ[μ] f i
theorem measure_theory.supermartingale.set_integral_le {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} [measure_theory.sigma_finite_filtration μ ℱ] {f : ι → Ω → ℝ} (hf : measure_theory.supermartingale f ℱ μ) {i j : ι} (hij : i ≤ j) {s : set Ω} (hs : measurable_set s) :
∫ (ω : Ω) in s, f j ω ∂μ ≤ ∫ (ω : Ω) in s, f i ω ∂μ
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theorem measure_theory.submartingale.integrable {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} [has_le E] (hf : measure_theory.submartingale f ℱ μ) (i : ι) :
theorem measure_theory.submartingale.ae_le_condexp {Ω : Type u_1} {E : Type u_2} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {f : ι → Ω → E} {ℱ : measure_theory.filtration ι m0} [has_le E] (hf : measure_theory.submartingale f ℱ μ) {i j : ι} (hij : i ≤ j) :
f i ≤ᵐ[μ] measure_theory.condexp (⇑ℱ i) μ (f j)
theorem measure_theory.submartingale.set_integral_le {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} [measure_theory.sigma_finite_filtration μ ℱ] {f : ι → Ω → ℝ} (hf : measure_theory.submartingale f ℱ μ) {i j : ι} (hij : i ≤ j) {s : set Ω} (hs : measurable_set s) :
∫ (ω : Ω) in s, f i ω ∂μ ≤ ∫ (ω : Ω) in s, f j ω ∂μ

The converse of this lemma is measure_theory.submartingale_of_set_integral_le.

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theorem measure_theory.submartingale.sup {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} {f g : ι → Ω → ℝ} (hf : measure_theory.submartingale f ℱ μ) (hg : measure_theory.submartingale g ℱ μ) :
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theorem measure_theory.submartingale.pos {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} {f : ι → Ω → ℝ} (hf : measure_theory.submartingale f ℱ μ) :
theorem measure_theory.submartingale_of_set_integral_le {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} [measure_theory.is_finite_measure μ] {f : ι → Ω → ℝ} (hadp : measure_theory.adapted ℱ f) (hint : ∀ (i : ι), measure_theory.integrable (f i) μ) (hf : ∀ (i j : ι), i ≤ j → ∀ (s : set Ω), measurable_set s → ∫ (ω : Ω) in s, f i ω ∂μ ≤ ∫ (ω : Ω) in s, f j ω ∂μ) :
theorem measure_theory.submartingale_of_condexp_sub_nonneg {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} [measure_theory.is_finite_measure μ] {f : ι → Ω → ℝ} (hadp : measure_theory.adapted ℱ f) (hint : ∀ (i : ι), measure_theory.integrable (f i) μ) (hf : ∀ (i j : ι), i ≤ j → 0 ≤ᵐ[μ] measure_theory.condexp (⇑ℱ i) μ (f j - f i)) :
theorem measure_theory.submartingale.condexp_sub_nonneg {Ω : Type u_1} {ι : Type u_3} [preorder ι] {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {ℱ : measure_theory.filtration ι m0} {f : ι → Ω → ℝ} (hf : measure_theory.submartingale f ℱ μ) {i j : ι} (hij : i ≤ j) :
0 ≤ᵐ[μ] measure_theory.condexp (⇑ℱ i) μ (f j - f i)
theorem measure_theory.submartingale_of_set_integral_le_succ {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {f : ℕ → Ω → ℝ} (hadp : measure_theory.adapted 𝒢 f) (hint : ∀ (i : ℕ), measure_theory.integrable (f i) μ) (hf : ∀ (i : ℕ) (s : set Ω), measurable_set s → ∫ (ω : Ω) in s, f i ω ∂μ ≤ ∫ (ω : Ω) in s, f (i + 1) ω ∂μ) :
theorem measure_theory.supermartingale_of_set_integral_succ_le {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {f : ℕ → Ω → ℝ} (hadp : measure_theory.adapted 𝒢 f) (hint : ∀ (i : ℕ), measure_theory.integrable (f i) μ) (hf : ∀ (i : ℕ) (s : set Ω), measurable_set s → ∫ (ω : Ω) in s, f (i + 1) ω ∂μ ≤ ∫ (ω : Ω) in s, f i ω ∂μ) :
theorem measure_theory.martingale_of_set_integral_eq_succ {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {f : ℕ → Ω → ℝ} (hadp : measure_theory.adapted 𝒢 f) (hint : ∀ (i : ℕ), measure_theory.integrable (f i) μ) (hf : ∀ (i : ℕ) (s : set Ω), measurable_set s → ∫ (ω : Ω) in s, f i ω ∂μ = ∫ (ω : Ω) in s, f (i + 1) ω ∂μ) :
theorem measure_theory.submartingale_nat {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {f : ℕ → Ω → ℝ} (hadp : measure_theory.adapted 𝒢 f) (hint : ∀ (i : ℕ), measure_theory.integrable (f i) μ) (hf : ∀ (i : ℕ), f i ≤ᵐ[μ] measure_theory.condexp (⇑𝒢 i) μ (f (i + 1))) :
theorem measure_theory.martingale_nat {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {f : ℕ → Ω → ℝ} (hadp : measure_theory.adapted 𝒢 f) (hint : ∀ (i : ℕ), measure_theory.integrable (f i) μ) (hf : ∀ (i : ℕ), f i =ᵐ[μ] measure_theory.condexp (⇑𝒢 i) μ (f (i + 1))) :

A predictable submartingale is a.e. greater equal than its initial state.

A predictable supermartingale is a.e. less equal than its initial state.

theorem measure_theory.martingale.eq_zero_of_predictable {Ω : Type u_1} {E : Type u_2} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} [normed_add_comm_group E] [normed_space ℝ E] [complete_space E] {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.sigma_finite_filtration μ 𝒢] {f : ℕ → Ω → E} (hfmgle : measure_theory.martingale f 𝒢 μ) (hfadp : measure_theory.adapted 𝒢 (λ (n : ℕ), f (n + 1))) (n : ℕ) :
f n =ᵐ[μ] f 0

A predictable martingale is a.e. equal to its initial state.

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theorem measure_theory.submartingale.sum_mul_sub {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {R : ℝ} {ξ f : ℕ → Ω → ℝ} (hf : measure_theory.submartingale f 𝒢 μ) (hξ : measure_theory.adapted 𝒢 ξ) (hbdd : ∀ (n : ℕ) (ω : Ω), ξ n ω ≤ R) (hnonneg : ∀ (n : ℕ) (ω : Ω), 0 ≤ ξ n ω) :
measure_theory.submartingale (λ (n : ℕ), (finset.range n).sum (λ (k : ℕ), ξ k * (f (k + 1) - f k))) 𝒢 μ
theorem measure_theory.submartingale.sum_mul_sub' {Ω : Type u_1} {m0 : measurable_space Ω} {μ : measure_theory.measure Ω} {𝒢 : measure_theory.filtration ℕ m0} [measure_theory.is_finite_measure μ] {R : ℝ} {ξ f : ℕ → Ω → ℝ} (hf : measure_theory.submartingale f 𝒢 μ) (hξ : measure_theory.adapted 𝒢 (λ (n : ℕ), ξ (n + 1))) (hbdd : ∀ (n : ℕ) (ω : Ω), ξ n ω ≤ R) (hnonneg : ∀ (n : ℕ) (ω : Ω), 0 ≤ ξ n ω) :
measure_theory.submartingale (λ (n : ℕ), (finset.range n).sum (λ (k : ℕ), ξ (k + 1) * (f (k + 1) - f k))) 𝒢 μ

Given a discrete submartingale f and a predictable process ξ (i.e. ξ (n + 1) is adapted) the process defined by λ n, ∑ k in finset.range n, ξ (k + 1) * (f (k + 1) - f k) is also a submartingale.